基于行為金融理論的投資策略實證研究.pdf

1、i’172219梗里大學碩士學位論文基于行為金融理論的投資策略實證研究院系：經(jīng)濟學院專業(yè)：姓名：指導教師：完成日期：國民經(jīng)濟學劉偉亭杭行副教授2005年5月學校代碼：學號：10246022015109AbstractAlthoughChinastockmarkethasuniquecharactersinatransitioneconomy，Investorsindifferentstockmarketpossessthesameirr

2、ationalcognitivebiases，DefinitelyChinainvestorsmaybepresentmoreirrationalbehaviorthanoverseainvestorunderChinathespecialschemeThenwhetherornotinveststrategybasedonbehavioralfinancearesuccessinChinamarketaswellasmaturesto

3、ckmarketItisapuzzlethatwillbetestedandanalyzedinthepaperIntheviewofbehavioralfinance，thepaperclassifiedallforegoneresearchfindings，developedaappropriateeconnmetricalmodel，andtestedthevalidityofcontrariantinvestmentstrate

4、gyandmomentumtradingstrategyinChinastockmarketAsaresult，wehadthefollowingfindings：first，theseinveststrategyCallgetabnormalreturnsinChinastockmarket，buttherearesomedifferenceindomesticmarketandoffshorematuremarketcontrari

5、antinvestmentstrategyalwaysmakesuccesswhetherinshorttermormidlongrun，andit’Sabnormalreturngoeswithtesting—termupwardhowevermomentumtradingstrategybasedonpastreturnisnotluckyascontrariantinvestmentstrategyitisSuccessinver

6、yshorttermbutnotinmid—longtermsecond，tradingvolumeisaindicatorofinformation，WinnerportfolmwiththepastlowtradingvolumeCangainhigherabnormalreturnthanthoseportfoliowithhi曲tradingvolume，butitisnotthecaseforLoserportfolioint